Dynamic Asset Pricing Theory, Third Edition.
Darrell Duffie

Darrell Duffie, winner of 2003 Financial Engineer of the Year

Cloth | 2001 | $110.00 / £50.00 | ISBN: 9780691090221
472 pp. | 6 x 9 | 2 tables, 12 line illus.

eBook | 2008 | $100.00 | ISBN: 9781400829200

Shopping Cart | Reviews | Table of Contents

This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. The asset pricing results are based on the three increasingly restrictive assumptions: absence of arbitrage, single-agent optimality, and equilibrium. These results are unified with two key concepts, state prices and martingales. Technicalities are given relatively little emphasis, so as to draw connections between these concepts and to make plain the similarities between discrete and continuous-time models.

Readers will be particularly intrigued by this latest edition's most significant new feature: a chapter on corporate securities that offers alternative approaches to the valuation of corporate debt. Also, while much of the continuous-time portion of the theory is based on Brownian motion, this third edition introduces jumps--for example, those associated with Poisson arrivals--in order to accommodate surprise events such as bond defaults. Applications include term-structure models, derivative valuation, and hedging methods. Numerical methods covered include Monte Carlo simulation and finite-difference solutions for partial differential equations. Each chapter provides extensive problem exercises and notes to the literature. A system of appendixes reviews the necessary mathematical concepts. And references have been updated throughout. With this new edition, Dynamic Asset Pricing Theory remains at the head of the field.

Review:

"This is an important addition to the set of text/reference books on asset pricing theory. It will, if it has not already, become the standard text for the second Ph.D. course in security markets. Its treatment of contingent claim valuation, in particular, is unrivaled in its breadth and coherence."--Journal of Economic Literature

Table of Contents

This book has been translated into:

• Chinese (Simplified)
• Japanese

Other Princeton books by Darrell Duffie:

• Credit Risk: Pricing, Measurement, and Management.
• Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets.
• How Big Banks Fail and What to Do about It.
• The Squam Lake Report: Fixing the Financial System.

Link:

• For more information on this book, visit the author's site at: http://www.stanford.edu/~duffie/

Series:

• Princeton Series in Finance
  Darrell Duffie and Stephen Schaefer, Series Editors

Subject Areas:

• Economics
• Finance

Shopping Cart:

For customers in the U.S., Canada, Latin America, Asia, and Australia
Cloth: $110.00 ISBN: 9780691090221

For customers in Europe, Africa, the Middle East, and India
Cloth: £50.00 ISBN: 9780691090221

Our eBook editions are available from these online vendors: Amazon Kindle Store Other eBook Dealers

Prices subject to change without notice

File created: 11/6/2011

Questions and comments to: webmaster@press.princeton.edu
Princeton University Press